AgentSkillsCN

pretrade-liquidity-cost-modeling

适用于在订单下达前，估算可执行规模、影响与风险的交易前流动性与成本建模工作流。当任务涉及交易前分析、订单难度评分，以及预期成本预测时，可选用此类工作流。

SKILL.md
--- frontmatter
name: pretrade-liquidity-cost-modeling
description: "Pre-trade liquidity and cost modeling workflows for estimating executable size, impact, and risk before order release. use when tasks involve pre-trade analytics, order difficulty scoring, and expected-cost forecasting."

Pretrade Liquidity Cost Modeling

objective

Estimate pre-trade cost and liquidity risk with robust forecast diagnostics.

workflow

  1. •define pre-trade horizon and benchmark assumptions.
  2. •assemble liquidity features from depth, spread, and turnover.
  3. •estimate expected impact, timing risk, and completion probability.
  4. •validate forecasts against realized post-trade outcomes.
  5. •release only when pre-trade forecasts are calibrated and stable.

required diagnostics

  • •pre-trade impact forecast error by size bucket.
  • •completion probability calibration by urgency tier.
  • •liquidity regime classification stability.
  • •expected-cost versus realized-cost tracking error.
  • •order difficulty score drift over time.

risk controls

  • •enforce confidence bounds on forecasted costs.
  • •enforce manual review for low-confidence predictions.
  • •enforce periodic model recalibration and challenger testing.

outputs

  • •run python scripts/pretrade_liquidity_cost_modeling_diagnostics.py input.csv --output diagnostics.json and keep the json artifact.
  • •write an implementation memo using references/pretrade-liquidity-cost-modeling-playbook.md with assumptions, tests, limits, and rollout plan.

resources

  • •use scripts/pretrade_liquidity_cost_modeling_diagnostics.py for deterministic diagnostics.
  • •use references/pretrade-liquidity-cost-modeling-playbook.md for the domain checklist and delivery structure.